Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Augmented Dickey-Fulleri (ADF) ühikujuurtuvustest× | CIPS-test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond≠ | Regression model | Hypothesis test |
| Tekkeaasta≠ | 1979 | 2007 |
| Looja≠ | David A. Dickey & Wayne A. Fuller | M. Hashem Pesaran |
| Tüüp≠ | Unit-root test for stationarity | Panel unit-root test with cross-section dependence |
| Algallikas≠ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ | Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗ |
| Rööpnimetused | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi |
| Seotud≠ | 4 | 3 |
| Kokkuvõte≠ | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. | The CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions. |
| ScholarGateAndmestik ↗ |
|
|